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Regression-Based Expected Shortfall Backtesting
[Backtesting Expected Shortfall]

Citations

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Cited by:

  1. Cathy W. S. Chen & Takaaki Koike & Wei‐Hsuan Shau, 2024. "Tail risk forecasting with semiparametric regression models by incorporating overnight information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1492-1512, August.
  2. Zhanyi Jiao & Qiuqi Wang & Yimiao Zhao, 2025. "Comparative e-backtests for general risk measures," Papers 2511.05840, arXiv.org, revised Mar 2026.
  3. Bień-Barkowska, Katarzyna & Herrera, Rodrigo, 2026. "When to be discrete: The importance of time formulation in the modeling of extreme events in finance," International Journal of Forecasting, Elsevier, vol. 42(1), pages 61-84.
  4. Jie Wang & Yongqiao Wang, 2025. "Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 391-423, March.
  5. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
  6. Robert James & Jessica Wai Yin Leung, 2026. "Forecasting Financial Risk Using Quantile Random Forests," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(5), pages 2355-2378, August.
  7. Tae-Hwy Lee & Dingli Wang, 2026. "Median-Anchored Adjustment of Joint VaR--ES Forecasts," Working Papers 202604, University of California at Riverside, Department of Economics.
  8. Hertrich, Daniel, 2023. "Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  9. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
  10. Albert Antwi & Emmanuel N. Gyamfi & Anokye M. Adam, 2024. "Forecasting tail risk of skewed financial returns having exponential‐polynomial tails," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2731-2748, November.
  11. Sharif Mozumder & M. Kabir Hassan & M. Humayun Kabir, 2024. "An evaluation of the adequacy of Lévy and extreme value tail risk estimates," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
  12. Jiao, Lei & Zhou, Qing (Clara), 2026. "Economic conditions and portfolio tail risk: A probability-weighted simulation approach," Journal of Empirical Finance, Elsevier, vol. 87(C).
  13. Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
  14. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.
  15. Adrián F. Rossignolo, 2024. "Basel IV and the structural relationship between SA and IMA," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 19(2), pages 1-37, Abril - J.
  16. Timo Dimitriadis & Marius Puke, 2026. "Statistical Inference for Score Decompositions," Papers 2603.04275, arXiv.org, revised Sep 2026.
  17. Li, Dan & Clements, Adam & Drovandi, Christopher, 2023. "A Bayesian approach for more reliable tail risk forecasts," Journal of Financial Stability, Elsevier, vol. 64(C).
  18. Larbi Ait-Hennani & Zoulikha Kaid & Ali Laksaci & Mustapha Rachdi, 2022. "Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data," Mathematics, MDPI, vol. 10(23), pages 1-23, November.
  19. Khoo, Zhi De & Ng, Kok Haur & Koh, You Beng & Ng, Kooi Huat, 2024. "Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  20. Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2024. "Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1275-1301.
  21. Timo Dimitriadis & Yannick Hoga, 2026. "Systemic Risk Surveillance," Papers 2601.08598, arXiv.org.
  22. Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  23. Qiuqi Wang & Ruodu Wang & Johanna Ziegel, 2026. "E-backtesting," Management Science, INFORMS, vol. 72(6), pages 4952-4973, June.
  24. Laura Garcia‐Jorcano & Lidia Sanchis‐Marco, 2025. "Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(6), pages 1907-1945, September.
  25. Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
  26. Wei Kuang, 2025. "Tailoring tail risk models for clean energy investments: a dual approach to long and short position forecasting," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-20, December.
  27. Yannick Hoga & Christian Schulz, 2025. "Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series," Papers 2502.10065, arXiv.org, revised Jun 2025.
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